報告人：尚玉皇（西南財經大學，教授、博士生導師）
時間：2021年9月9日（周四）上午9點00分
騰訊會議ID：685 735 395
主辦單位：中國礦業大學經濟管理學院
報告題目-1：Macroeconomics and Volatility Forecasts: Evidence from Mixed-Frequency SV Models
ABSTRACT: This paper develops a stochastic volatility-mixed frequency data sampling (SV-MIDAS) model with low frequency macro variables. We further extend an asymmetric SV-MIDAS model—the ASV-MIDAS model—by including a leverage effect. This paper executes the empirical applications in both Chinese and U.S. stock markets. First, we find that the SV-MIDAS model can identify the macroeconomic volatility source of stock volatility. And this macroeconomic volatility source helps SV-MIDAS model outperforms the traditional SV model for in-sample fitting. Second, we also show that out-of-sample forecast performances of SV-MIDAS model are significantly superior to that of traditional SV model. Moreover, among the macroeconomic variables, the Composite Leading Indicator has the best forecast performance. Finally, the ASV-MIDAS model suggests that there are significant leverage effects in both stock markets. However, the leverage effect is weaker in China. In addition, the ASV-MIDAS model only outperforms the corresponding benchmark model for the in-sample fitting.
報告題目-2：高質量期刊論文發表心得體會與經驗交流
報告人簡介：
尚玉皇，男， 西南財經大學中國金融中心教授、博士生導師，金融科技研究所所長，西南財經大學光華學者百人計劃。主要從事混頻數據方法、金融計量學、宏觀金融、金融科技等領域的研究。尚玉皇教授在混頻數據建模、宏觀經濟預測、貨幣政策分析、金融風險測度及其應用、利率期限結構研究等領域取得了豐碩研究成果。以第一作者在《經濟研究》、《世界經濟》、《金融研究》、Economic Modeling、Applied Economics等國內外高質量學術期刊發表論文數十篇。主持完成國家自然科學基金項目、教育部人文社會基金項目、四川省社科重點項目、國家社科重大項目《地方政府債務與金融穩定性研究》子課題等縱向科研項目多項。多次獲得西南財經大學優秀科研成果獎、優秀論文指導老師等。
